LHX | SP500 : Model specifications

## OK: residuals appear as normally distributed (p = 0.602).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.354).

## OK: Error variance appears to be homoscedastic (p = 0.649).

## 
##  Bounds F-test (Wald) for no cointegration
## 
## data:  d(LHX) ~ L(LHX, 1) + ps + sc + indpro + m1 + PF + x_ff + LHX_R +     L(TCI_R, 1) + cpium + d(TCI_R)
## F = 3.6055, p-value = 0.01247
## alternative hypothesis: Possible cointegration
## null values:
##    k    T 
##    9 1000

## # Check for Multicollinearity
## 
## Low Correlation
## 
##       Term  VIF       VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  L(LHX, 1) 4.84 [  3.56,   6.75]         2.20      0.21     [0.15, 0.28]
## 
## Moderate Correlation
## 
##    Term  VIF       VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##      sc 8.59 [  6.19,  12.12]         2.93      0.12     [0.08, 0.16]
##  indpro 5.85 [  4.27,   8.20]         2.42      0.17     [0.12, 0.23]
##   cpium 7.44 [  5.38,  10.47]         2.73      0.13     [0.10, 0.19]
## 
## High Correlation
## 
##         Term    VIF       VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##           ps 152.73 [106.97, 218.25]        12.36  6.55e-03     [0.00, 0.01]
##           m1  47.27 [ 33.23,  67.43]         6.88      0.02     [0.01, 0.03]
##           PF  43.74 [ 30.76,  62.38]         6.61      0.02     [0.02, 0.03]
##         x_ff  16.03 [ 11.38,  22.75]         4.00      0.06     [0.04, 0.09]
##        LHX_R  10.36 [  7.42,  14.65]         3.22      0.10     [0.07, 0.13]
##        TCI_R  14.02 [  9.98,  19.88]         3.74      0.07     [0.05, 0.10]
##  L(TCI_R, 1)  10.68 [  7.64,  15.10]         3.27      0.09     [0.07, 0.13]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.50461, p-value = 0.9609

## [1] 0.005583482

## [1] 0.006562557

## [1] 0.03344305